Dec. 30 (Bloomberg) -- Oil options volatility fell as the underlying futures were little changed before the three-day New Year holiday weekend.
Implied volatility for at-the-money options expiring in February, a measure of expected swings in futures and a gauge of options prices, slipped to 31.4 percent at noon in New York from 32.4 percent yesterday. Futures slipped 0.2 percent, reducing the yearly gain to 8.8 percent.
The most active options contracts in electronic trading today were February $90 puts, with 1,230 lots changing hands as of 12:25 p.m. in New York. The options fell 11 cents to 40 cents a barrel. February $95 puts traded 740 lots, dropping 12 cents to $1.14. One contract covers 1,000 barrels of crude.
Oil for February delivery declined 20 cents to $99.45 a barrel at 12:26 p.m. on the New York Mercantile Exchange.
February $90 puts were the most active options traded in the previous session, with 2,474 lots changing hands. They declined 12 cents to 51 cents a barrel. The next-most active options, February $115 calls, dropped 3 cents to 24 cents on volume of 2,369 contracts.
Open interest was highest for December $150 calls with 37,830 contracts. Next were December $80 puts with 37,101 contracts and June $80 puts with 32,873.
The exchange distributes real-time data for electronic trading and releases information the next business day on floor trading, where the bulk of options trading occurs.
--Editors: David Marino, Richard Stubbe
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